Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points (Q6133723)
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scientific article; zbMATH DE number 7730302
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| English | Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points |
scientific article; zbMATH DE number 7730302 |
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Estimation and testing in multivariate generalized Ornstein-Uhlenbeck processes with change-points (English)
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21 August 2023
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asymptotic property
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drift-parameter matrix
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James-Stein estimators
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multiple change-points
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multivariate mean-reverting
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testing
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shrinkage estimators
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SDE
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Wiener process
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